Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index

Consolandi, Costanza; Jaiswal-Dale, Ameeta; Poggiani, Elisa; Vercelli, Alessandro

doi:10.1007/s10551-008-9793-1

Cited by 176 publications

(157 citation statements)

References 16 publications

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“…Bauer et al (2004) used an international database containing 103 German, UK and US ethical mutual funds, and they found that when examining the investment style, there was no evidence of significant differences in risk-adjusted returns between ethical and conventional funds for the period 1990-2001. Contrariwise, Consolandi et al (2009), when conducting an event study on the Dow Jones Sustainability Stoxx Index (DJSI Stoxx), concluded that the evaluation of the CSP performance of a firm is a significant criterion for asset allocation activities over the period . However, Cheung (2011, found that announcement has not any significant impact on stock return, when he analysed the impact of Dow Jones World Index (DJSI World) firm inclusions and exclusions for a sample of US stocks over the period 2002-2008.…”

Section: Empirical Results On the Relationship Between Csp And Firm Fmentioning

confidence: 99%

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The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe

Stekelenburg¹,

Γεωργακόπουλος²,

Sotiropoulou³

et al. 2015

IJEF

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This paper investigates the relation between corporate financial performance (CFP) and corporate sustainability performance (CSP). This is done by first analyzing a sample of European stocks that were added to or deleted from the Dow Jones Sustainability Europe Index (DJSI Europe) over the period [2009][2010][2011][2012][2013], and second by analyzing a sample of European stocks that were recognized as industry group leaders in CSP by the DJSI Europe over the same period. The impacts are measured in terms of (abnormal) stock returns. For the first analysis no strong evidence could be found that the announcement of the inclusion and exclusion events has any significant impact on stock return. However, on the day of change (CD) and in the period following CD, index inclusion (exclusion) stocks experience a significant but temporary increase (decrease) in stock return. These results seem to support Harris and Eitan's (1986) price pressure hypothesis, which postulates that event announcement does not carry information and any shift in demand and hence the corresponding price change is temporary. From the second analysis, on industry group leaders, it can be concluded that the market rewards firms with high CSP. In the period after the day of change, industry group leader stocks experience a permanent and significant positive growth in stock returns. This conclusion can be supported by the resource based perspective, which posits that firms capable of investing heavily in CSP have greater underlying resources which in turn should produce higher financial performance (Alexander &

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Section: Empirical Results On the Relationship Between Csp And Firm Fmentioning

confidence: 99%

“…Therefore, consistent with prior literature (e.g. Freedman & Patten, 2004;Curran & Moran, 2007;Consolandi et al, 2009) the market model was chosen.…”

Section: Methodsmentioning

confidence: 99%

The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe

Stekelenburg¹,

Γεωργακόπουλος²,

Sotiropoulou³

et al. 2015

IJEF

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“…There is evidence both of a negative relation (López et al, 2007), no relation (Curran and Moran, 2007;García-Castro et al, 2010;Surroca et al, 2010) and a positive relation (Lo and Sheu, 2007;van Dijken, 2007;Consolandi et al, 2009;Cheung, 2010;Wagner, 2010) between CSP and CFP. López et al (2007) analysed whether there are significant differences in performance between firms which adopted sustainability practices, ratified by their belonging to the DJSI, and firms not included in the DJSI because they have not fulfilled its requirements.…”

Section: Corporate Sustainability and Corporate Performancementioning

confidence: 99%

“…the relation between CSP and firm performance use DJSI as a proxy for CSP (Lo and Sheu, 2007;López et al, 2007;Consolandi et al, 2009;Cheung, 2010).…”

Section: H3b2mentioning

confidence: 99%

How Does the Market Value Corporate Sustainability Performance?

et al. 2011

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This study provides empirical evidence on how corporate sustainability performance (CSP), as proxied by membership of the Dow Jones Sustainability Index, is reflected in the market value of equity. Using a theoretical framework combining stakeholder theory and resource-based perspectives, we develop a set of hypotheses that relate the market value of equity to CSP. For a sample of North American firms, our preliminary results show that CSP has significant explanatory power for stock prices over the traditional summary accounting measures such as earnings and book value of equity. However, further analyses suggest that we should not focus on corporate sustainability itself. Our findings suggest that what investors really do is to undervalue large profitable firms with low level of CSP. Firms with incentives to develop a high level of CSP not engaging on such strategy are, thus, penalized by the market.

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“…Additionally, certain incentives motivating companies to pursue sustainability management can be identified which only impact stock index listed companies, such as the opportunity to be included in prestigious sustainability indices, like the Dow Jones Sustainability Index [69][70][71]. To control for the effect of being listed in well-known stock indices, another dummy variable was introduced indicating whether or not a company belongs to either the DAX or the MDAX, the two major German stock indices.…”

Section: Being Supportive Of Corporate Sustainability and The Applicamentioning

confidence: 99%

Involving Corporate Functions: Who Contributes to Sustainable Development?

et al. 2014

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A large body of literature claims that corporate sustainable development is a cross-functional challenge, which requires all functional units to be involved. However, it remains uncertain to what extent and in which way different corporate functions are actually involved in corporate sustainability management. To bridge this research gap, our paper draws on a concept of involvement introduced in the field of consumer behavior. Based on this previous research, our paper distinguishes two components of involvement: first, a cognitive-affective component, incorporating being affected by sustainability issues and being supportive of corporate sustainability; and second, a behavioral component, represented by the application of sustainability management tools. We use this concept to empirically analyze the involvement of corporate functions in sustainability management and find considerable differences in large German companies. Whereas public relations and strategic management are heavily involved, finance, accounting and management control appear not to be involved. A multinomial logistic regression shows that the cognitive-affective component significantly influences the behavioral component, with a functional unit being affected influencing the application of tools the most. Building on the model proposed, the paper provides implications on how to increase a functional unit's involvement in sustainability management.

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Global Standards and Ethical Stock Indexes: The Case of the Dow Jones Sustainability Stoxx Index

Abstract: DJSSI – Dow Jones Sustainability Stock Index, ethical stock indexes, SRI (Socially Responsible Investing), performance of SRI funds,

Cited by 176 publications

References 16 publications

The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe

The Relation between Sustainability Performance and Stock Market Returns: An Empirical Analysis of the Dow Jones Sustainability Index Europe

How Does the Market Value Corporate Sustainability Performance?

Involving Corporate Functions: Who Contributes to Sustainable Development?

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